Neurodegenerative diseases are a group of pathologies that cause severe disability due to motor and cognitive limitations. In particular, cognitive impairment is a growing health and socioeconomic problem which is still difficult to deal with today. As there are no pharmacologically effective treatments for cognitive deficits, scientific interest is growing regarding the possible impacts of healthy lifestyles on them. In this context, physical activity is gaining more and more evidence as a primary prevention intervention, a nonpharmacological therapy and a rehabilitation tool for improving cognitive functions in neurodegenerative diseases. In this descriptive overview we highlight the neurobiological effects of physical exercise, which is able to promote neuroplasticity and neuroprotection by acting at the cytokine and hormonal level, and the consequent positive clinical effects on patients suffering from cognitive impairment.